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Fixed-b Estimation and Inference in Heterogenous Dynamic Cointegrated Panels

Sender, Samuel J. - 2017

We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of Phillips and Hansen (1990) that use a spectral...

Persistent link: https://www.econbiz.de/10012970628

Improving the Finite-Sample Estimators of Cointegrated Panel Models

Sender, Samuel J. - 2014

which N can grow simultaneously to T for the tests statistics of panel group-mean of time-series estimators to be …

Persistent link: https://www.econbiz.de/10013064659

Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023

This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...

Persistent link: https://www.econbiz.de/10014357208

A Note on the Estimation of Long-Run Relationships in Panel Equations with Cross-Section Linkages

Di Iorio, Francesca - 2012

We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as FM-OLS and DOLS. SUR estimators perform badly, or...

Persistent link: https://www.econbiz.de/10013112206

On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence

Bai, Jushan - 2011

Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is … difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a … factor structure. We derive the limiting distribution of a fully modified estimator for the panel cointegrating coefficients …

Persistent link: https://www.econbiz.de/10013126684

On the Estimation and Inference of a Cointegrated Regression in Panel Data

Kao, Chihwa - 2011

panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and …

Persistent link: https://www.econbiz.de/10013127238

Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends

Kao, Chihwa - 2011

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …

Persistent link: https://www.econbiz.de/10013127390

Finite sample correction factors for panel cointegration tests

Hlouskova, Jaroslava; Wagner, Martin - 2009

Persistent link: https://www.econbiz.de/10003931103

A note on the estimation of long-run relationships in panel equations with cross-section linkages

Di Iorio, Francesca; Fachin, Stefano - 2012

compared to the cross-section dimension. -- Panel cointegration ; FM-OLS ; FM-SUR ; DOLS ; DSUR …

Persistent link: https://www.econbiz.de/10009409345

IV-based cointegration testing in dependent panels with time-varying variance

Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011

attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … independent even in the presence of correlation or cointegration across units, leading to a panel test statistic robust to cross …

Persistent link: https://www.econbiz.de/10009672473